Related papers: Equilibrium transport with time-inconsistent costs
A new definition of continuous-time equilibrium controls is introduced. As opposed to the standard definition, which involves a derivative-type operation, the new definition parallels how a discrete-time equilibrium is defined, and allows…
A fundamental question in nonequilibrium statistical physics is whether effective equilibrium behavior can emerge at coarse-grained scales in strongly driven systems. Here, we investigate this question in the context of human mobility by…
Equilibrium properties in statistical physics are obtained by computing averages with respect to Boltzmann-Gibbs measures, sampled in practice using ergodic dynamics such as the Langevin dynamics. Some quantities however cannot be computed…
In the first part of the paper, we consider a discrete-time stochastic control system. We show that, under certain conditions, the set of random occupational measures generated by the state-control trajectories of the system as well as the…
We study quantum transport after an inhomogeneous quantum quench in a free fermion lattice system in the presence of a localised defect. Using a new rigorous analytical approach for the calculation of large time and distance asymptotics of…
We study Markov decision problems where the agent does not know the transition probability function mapping current states and actions to future states. The agent has a prior belief over a set of possible transition functions and updates…
In intertemporal settings, the multiattribute utility theory of Kihlstrom and Mirman suggests the application of a concave transform of the lifetime utility index. This construction, while allowing time and risk attitudes to be separated,…
Accurately forecasting bus travel time and passenger occupancy with uncertainty is essential for both travelers and transit agencies/operators. However, existing approaches to forecasting bus travel time and passenger occupancy mainly rely…
We consider a non-stationary variant of a sequential stochastic optimization problem, in which the underlying cost functions may change along the horizon. We propose a measure, termed variation budget, that controls the extent of said…
We study the existence of equilibrium when agents' preferences may not beconvex. For some specific utility functions, we provide a necessary and sufficientcondition under which there exists an equilibrium. The standard approach cannot be…
We establish novel quantitative stability results for optimal transport problems with respect to perturbations in the target measure. We provide explicit bounds on the stability of optimal transport potentials and maps, which are relevant…
Coupling probability measures lies at the core of many problems in statistics and machine learning, from domain adaptation to transfer learning and causal inference. Yet, even when restricted to deterministic transports, such couplings are…
We derive nearly tight and non-asymptotic convergence bounds for solutions of entropic semi-discrete optimal transport. These bounds quantify the stability of the dual solutions of the regularized problem (sometimes called Sinkhorn…
This article studies problems of optimal transport, by embedding them in a general functional analytic framework of convex optimization. This provides a unified treatment of a large class of related problems in probability theory and allows…
We study the general problem of Bayesian persuasion (optimal information design) with continuous actions and continuous state space in arbitrary dimensions. First, we show that with a finite signal space, the optimal information design is…
We consider a quasi-variational inequality governed by a moving set. We employ the assumption that the movement of the set has a small Lipschitz constant. Under this requirement, we show that the quasi-variational inequality has a unique…
We establish a variant of Monge--Kantorovich duality for a constrained optimal transport problem with a continuum of agents, a finite set of alternatives, and general linear constraints. As an application, we revisit the large-market model…
Filyokov and Karpov [Inzhenerno-Fizicheskii Zhurnal 13, 624 (1967)] have proposed a theory of non-equilibrium steady states in direct analogy with the theory of equilibrium states : the principle is to maximize the Shannon entropy…
We study a variant of the martingale optimal transport problem in a multi-period setting to derive robust price bounds of a financial derivative. On top of marginal and martingale constraints, we introduce a time-homogeneity assumption,…
This paper deals with a class of time inconsistent stochastic linear quadratic (SLQ) optimal control problems in Markovian framework. Three notions, i.e., closed-loop equilibrium controls/strategies, open-loop equilibrium controls and their…